Beyond cash-additive risk measures : when changing the numéraire fails
Walter Farkas; Pablo Koch-Medina; Cosimo Munari
| Year of publication: |
2014
|
|---|---|
| Authors: | Farkas, Walter ; Koch Medina, Pablo ; Munari, Cosimo |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 1, p. 145-173
|
| Subject: | Risk measures | Acceptance sets | General eligible assets | Defaultable bonds | Cash subadditivity | Quasiconvexity | Value-at-risk | Tail value-at-risk | Shortfall risk | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Theorie | Theory | Messung | Measurement | Kreditrisiko | Credit risk | Anleihe | Bond | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010235455